This　paper　adopts　nonparametric　quantile　regression　approach　to　empirically　analyze　the　relationship　between　daily　return　and　trading　volume　and　the　relationship　between　absolute　return　and　trading　volume　in　China　stock　market.　The　results　show　that　both　the　relationship　between　return　per　se　and　volume　and　that　between　absolute　return　and　volume　are　nonlinear.　Secondly,　when　the　trading　volume　is　larger　than　a　certain　value,　the　relationship　between　return　per　se　and　volume　is　positive　at　the　high　quantile　of　return　and　negative　at　the　low　quantile　of　return.　However,　both　the　positive　and　negative　relations　get　stronger　with　larger　trading　volume.　Thirdly,　the　relationship　between　return　and　volume　is　asymmetric.　Finally,　the　relationship　between　absolute　return　and　trading　volume　is　positive　and　stronger　when　the　quantile　of　absolute　return　increases.　©　2010　IEEE.